Consider the following data:
Spot on Canadian Dollar (C$) .6539 USD/C$
one month forward rate: .6532
three month forward rate: .6515
six month forward rate: .6486
90 day commercial paper rate: 1.20%
three month LIBOR: 1.34%%
three month London Euro commercial paper rate 2.69%
Based on the above data, calculate the theoretical futures price for a three month futures
Contract on the C$ if we treat the commercial paper rate as the domestic risk free rate and The Euro CP as the foreign risk free rate.